Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 16 18 17
Score 4.04 8.15 6
Market Cap (Millions USD) 11207.73 11379.54 11157.85
Predicted Beta 0.59 0.57 0.58
Idiosyncratic Volatility 2.16 2 2.92

Annualized return and volatility

XLU
Annualized Return 0.0802
Annualized Std Dev 0.1816
Annualized Sharpe (Rf=0%) 0.4419

Row

Daily Return Statistics

XLU
Observations 5112.0000
NAs 2.0000
Minimum -0.0853
Quartile 1 -0.0050
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0063
Maximum 0.1207
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0114
Skewness 0.2291
Kurtosis 10.1857

Downside Risk

XLU
Semi Deviation 0.0082
Gain Deviation 0.0081
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0130
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.5227
Historical VaR (95%) -0.0175
Historical ES (95%) -0.0269
Modified VaR (95%) -0.0153
Modified ES (95%) -0.0153
From Trough To Depth Length To Trough Recovery
2000-12-14 2002-10-09 2005-02-14 -0.5227 1065 462 603
2007-12-11 2009-03-09 2012-06-14 -0.4648 1155 320 835
2000-01-24 2000-02-25 2000-04-06 -0.1592 54 24 30
2015-01-30 2015-09-04 2016-03-08 -0.1569 283 155 128
2017-11-15 2018-02-08 2018-10-24 -0.1559 241 59 182

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XLU
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 -0.7 4.4 0.0 0.0 0.7 0.0 2.2 1.2 0.0 -0.6 -1.9 0.0 5.2
2001 1.2 -1.1 0.0 0.9 -0.8 0.0 1.2 0.0 0.9 0.8 0.0 0.0 3.1
2002 0.2 2.2 -1.0 0.9 0.0 -2.1 -1.5 0.0 1.6 0.5 0.0 0.0 0.8
2003 0.0 0.0 0.7 -1.4 0.0 -0.7 -0.4 0.0 0.1 0.0 0.3 0.0 -1.4
2004 0.0 0.5 0.3 0.0 -0.1 -1.2 0.0 -0.3 0.8 0.8 -0.9 0.0 -0.1
2005 0.7 0.3 0.3 0.0 1.3 0.9 -1.3 1.6 0.0 -2.0 0.4 0.0 2.1
2006 0.3 -0.3 0.0 -0.9 1.0 0.0 1.2 0.1 0.0 0.6 -0.1 0.0 2.0
2007 0.8 0.3 0.0 0.8 -0.5 0.0 2.3 0.0 1.4 -2.0 0.0 0.0 3.0
2008 2.6 0.0 2.6 1.2 0.0 0.5 -2.9 0.0 -0.4 0.0 -6.6 0.0 -3.3
2009 0.0 0.0 0.4 2.6 3.2 1.3 0.0 -0.8 -1.7 0.0 1.9 0.0 7.0
2010 0.6 1.4 1.4 0.0 -2.3 -0.5 0.0 2.2 0.5 -1.0 1.2 0.0 3.6
2011 1.0 -1.0 0.8 0.0 -1.0 1.2 0.3 -0.6 0.0 -2.1 -0.3 0.0 -1.8
2012 0.3 0.3 0.0 0.5 -0.4 0.0 -0.8 0.0 -0.5 -1.1 0.0 0.0 -1.6
2013 0.3 0.2 -0.2 -1.0 0.0 -1.2 0.8 0.0 0.3 0.7 0.0 0.0 -0.2
2014 0.0 0.0 -0.7 0.4 0.0 -1.0 0.4 0.0 0.6 0.0 0.2 0.0 -0.1
2015 0.0 0.0 0.1 0.6 0.1 0.6 0.0 -2.7 -1.2 0.0 0.8 0.0 -1.7
2016 0.9 -0.5 0.4 0.0 0.3 0.0 0.1 -0.5 0.0 -1.8 -0.8 0.0 -2.0
2017 -1.7 -0.9 0.0 -0.6 0.7 0.0 0.6 -0.3 0.0 -0.6 -0.3 0.0 -3.1
2018 -1.6 0.0 0.0 -0.3 -1.5 0.0 -0.6 0.0 -0.3 -0.4 0.0 0.0 -4.7
2019 -0.4 0.2 -0.7 -1.0 0.0 -0.3 1.0 0.0 -0.2 -0.2 0.0 0.1 -1.5

Row

Rolling Performance Chart

Snail Trail Chart